I recently took the decision to transfer a load of posts from my Windows Live Spaces account to this blog and enjoyed the great pleasure of banging my head against a wall for at least two evenings trying to figure out how to do it. Now I have the answer.

Download Windows Live Writer
Set up your account details for your old/new blogs 
Download the posts to your machine
Upload the posts to your new blog.

You might have to tweak the posts afterwards according to your blog environment but I found the process really slick and pretty easy to use. A bulk action process would make this even better as you can only import/export posts one at a time.

Good luck!